Depends on you. I don't pay attention to color and just kill them in any order. I only prioritize the Cop, Chuck, and the Rancher because they are all too annoying. But blue and orange really don't matter to me.
But if you want to prioritize them, there's two main things to consider... Blue is fast and Orange hits hard. So one will reach your more quickly and the other will hurt more when it hits you. If you're not fast enough to deal with the blue before it reaches you, then start with that. If you can't kill the orange before it reaches you if you don't start with it, then start there.
Edit: I see theFlu says blue hits hard, so maybe I mixed those up and orange is just high health. But I thought orange hit harder than blue. Either way, it's just a matter of whether or not it actually impacts anything for you if you choose one or the other first. For me, it's no difference.